Model-Independent Pricing of Asian Options via Optimal Martingale Transport

Florian Stebegg

Papers from arXiv.org

Abstract: In this article we discuss the problem of calculating optimal model-independent (robust) bounds for the price of Asian options with discrete and continuous averaging. We will give geometric characterisations of the maximising and the minimising pricing model for certain types of Asian options in discrete and continuous time. In discrete time the problem is reduced to finding the optimal martingale transport for the cost function $|x+y|$. In the continuous time case we consider the cases with one and two given marginals. We describe the maximising models in both of these cases as well as the minimising model in the one-marginal case and relate the two-marginals case to the discrete time problem with two marginals.

Date: 2014-12
New Economics Papers: this item is included in nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://arxiv.org/pdf/1412.1429 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1412.1429

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().